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Counterparty Risk for Credit Default Swaps: Markov Chain Interacting Intensities Model with Stochastic Intensity

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  • Kwai Leung
  • Yue Kwok

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s10690-009-9091-7
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    Bibliographic Info

    Article provided by Springer in its journal Asia-Pacific Financial Markets.

    Volume (Year): 16 (2009)
    Issue (Month): 3 (September)
    Pages: 169-181

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    Handle: RePEc:kap:apfinm:v:16:y:2009:i:3:p:169-181

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    Web page: http://springerlink.metapress.com/link.asp?id=102851

    Related research

    Keywords: Credit default swaps; Counterparty risk; Markov chain model; Default correlation;

    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Damiano Brigo & Kyriakos Chourdakis, 2009. "Counterparty Risk For Credit Default Swaps: Impact Of Spread Volatility And Default Correlation," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(07), pages 1007-1026.
    2. Robert A. Jarrow, 2001. "Counterparty Risk and the Pricing of Defaultable Securities," Journal of Finance, American Finance Association, vol. 56(5), pages 1765-1799, October.
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    Cited by:
    1. Chen, Chang-Chih & Shyu, So-De & Yang, Chih-Yuan, 2011. "Counterparty effects on capital structure decision in incomplete market," Economic Modelling, Elsevier, vol. 28(5), pages 2181-2189, September.
    2. Bao, Qunfang & Chen, Si & Liu, Guimei & Li, Shenghong, 2010. "Unilateral CVA for CDS in Contagion Model_with Volatilities and Correlation of Spread and Interest," MPRA Paper 26277, University Library of Munich, Germany.
    3. Yinghui Dong & Xue Liang & Guojing Wang, 2012. "Unilateral Counterparty Risk Valuation for CDS Under a Regime Switching Interacting Intensities Model," Asia-Pacific Financial Markets, Springer, vol. 19(4), pages 391-415, November.
    4. Bao, Qunfang & Chen, Si & Liu, Guimei & Li, Shenghong, 2010. "Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest," MPRA Paper 28250, University Library of Munich, Germany, revised 27 Dec 2010.
    5. Bao, Qunfang & Li, Shenghong & Liu, Guimei, 2010. "Survival Measures and Interacting Intensity Model: with Applications in Guaranteed Debt Pricing," MPRA Paper 27698, University Library of Munich, Germany, revised 27 Dec 2010.
    6. Bao, Qunfang & Chen, Si & Li, Shenghong, 2012. "Unilateral CVA for CDS in a contagion model with stochastic pre-intensity and interest," Economic Modelling, Elsevier, vol. 29(2), pages 471-477.

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